Okay, I tried that. I cannot click on Player 1. This is really frustrating... I edited the names in the local highscores but this is a very dumb way to name a character. Why am I not just able to pick it from the start rather than editing it?

Well I found it and it's not what you said but maybe you're referring to an earlier version. Currently, you have to go into Controller Setup then you click on the Player1 if you're just playing by yourself and that will change the name... I'm still not changing my mind about how unintuitive this process is but I have seen worse and at least I did not have to edit any files.